docTesting the Option Value Theory of Irreversible Investment
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Testing the Option Value Theory of Irreversible Investment
99s-35 Testing the Option Value Theory of Irreversible Investment Tarek M. Harchaoui, Pierre Lasserre Série Scientifique Scientific Series Montréal Octobre 1999 CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisationsmembres, d=une subvention d=infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de recherche. CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research activities are funded through fees paid by member organizations, an infrastructure grant from the Ministère de la Recherche, de la Science et de la Technologie, and grants and research mandates obtained by its research teams. Les organisations-partenaires / The Partner Organizations $École des Hautes Études Commerciales $École Polytechnique $Université Concordia $Université de Montréal $Université du Québec à Montréal $Université Laval $Université McGill $MEQ $MRST $Alcan Aluminium Ltée $Banque Nationale du Canada $Bell Québec $Développement des ressources humaines Canada (DRHC) $Egis $Fédération des caisses populaires Desjardins de Montréal et de l=Ouest-du-Québec $Hydro-Québec $Imasco $Industrie Canada $Microcell Labs inc. $Raymond Chabot Grant Thornton $Téléglobe Canada $Ville de Montréal © 1999 Tarek M. Harchaoui et Pierre Lasserre. Tous droits réservés. All rights reserved. Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, provided that full credit, including © notice, is given to the source. Ce document est publié dans l=intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les idées et les opinions émises sont sous l=unique responsabilité des auteurs, et ne représentent pas nécessairement les positions du CIRANO ou de ses partenaires. This paper presents preliminary research carried out at CIRANO and aims at encouraging discussion and comment. The observations and viewpoints expressed are the sole responsibility of the authors. They do not necessarily represent positions of CIRANO or its partners. ISSN 1198-8177 Testing the Option Value Theory of Irreversible Investment* Tarek M. HarchaouiH, Pierre LasserreI Résumé / Abstract Nous établissons par la méthode des actifs contingents la valeur de l'option d'effectuer des investissements irréversibles réels qui sont sensibles aux paramètres économiques prévalant au moment de la décision. Nous testons ensuite si des mines de cuivre canadiennes choisissent bien d'effectuer leurs investissements en capacité de production au moment où le prix du cuivre atteint le niveau critique impliqué par la théorie. Les résultats sont fortement en faveur de celle-ci. Le modèle explique tant la taille que la date des investissements d'une manière statistiquement et économiquement satisfaisante; des simulations avec un processus de retour à la moyenne indiquent que ces résultats ne dépendent pas de façon cruciale de l'hypothèse que le prix suit un processus Brownien géométrique. This paper statistically tests the option theory of irreversible investment under uncertainty. Using contingent claims valuation, we derive the value of options to invest in capacity, where the projects are endogenous to the economic circumstances prevailing at the investment date. We then test whether capacity investment decisions made by Canadian copper mines are compatible with the trigger price implied by the theory. The results speak strongly in favor of option theory as a theory of real investment. Our model explains both investment size and timing satisfactorily, from a statistical, and from an economic, point of view, and numerical simulations with a mean-reverting process suggest that the results do not depend crucially on the price being assumed to follow a geometric Brownian motion. Mots Clés : Investissement irréversible, incertitude, actifs contingents, valeur d'option, modèle « Putty Clay », investissement réel, prix critique Keywords: Irreversible investment, uncertainty, contingent claims, option value, Putty Clay, real investment, trigger price JEL: D92, G1, L72, Q31 * Corresponding Author : Pierre Lasserre, CIRANO, 2020 rue University, 25ème étage, Montréal, Qc, Canada H3A 2A5 Tél. : (514) 985-4011 Fax : (514) 985-4039 courriel : [email protected] We thank Marcel Dagenais, Phil Merrigan, Harry Paarsch, Pierre Perron, and Robert Pindyck for comments on an earlier version of the paper. We also thank the participants in the Batterymarch Finance Seminar at the Sloan School of Management, the Finance Seminar at HEC (Paris), and the IDEI-CREMAQ Seminar at Toulouse, as well as anonymous referees, for their comments. 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Two-stage estimation Two-stage estimations Col. #4 First stage Probit Col. #5 Sec. stage OLS Col. #6 First stage Probit Col. #7 Sec. stage OLS Col. #8 red’d form (sec. stage OLS) Col. #9 .95 (1.50) -2.16 (-.74) .34 (.70) -3.08 (-.81) .14 (.30) .71 (.48) -.33 (-.27) -1.00 (-.97) 1.31 (1.70) 1.18 (1.93) - - - - - - - - .45 (.38) .76 (3.32) .99 (.80) .89 (3.96) - - .04 (.09) - - -.32 (-1.72) - -.30 (-1.58) -.47 (-5.48) Ln B -1.01 (-.19) - - -3.64 (-1.87) -.87 (-2.81) -7.12 (-1.56) -1.64 (-3.06) .78 (.48) LnWl -1.87 (-1.04) -1.21 (-1.04) -1.08 (-1.20) 2.25 (.99) 1.25 (2.60) 2.91 (1.26) 1.38 (2.85) .55 (.89) LnWE .47 (.42) 1.18 (.42) 1.17 (1.67) -1.59 (-1.14) -1.14 (-4.50) -2.07 (-1.35) -1.25 (-4.93) -.55 (-1.71) LnWK -.13 (-.49) .16 (1.70) 0.16 (1.84) .14 (.36) -.08 (-1.48) .06 (.15) -.10 (-1.92) .04 (.51) Lnα b .02 (.03) -.28 (2.35) -.25 (-1.78) -.65 (-1.43) - -.69 (-1.24) - .15 (.64) Lnρ b 27.83 (2.54) -2.13 (-.29) - - - - - -.03 (-1.88) LnR -.03 (-.51) .63 (9.03) .63 (24.14) -.23 (-.31) -.47 (-3.17) -.57 (-.73) -.55 (-3.81) .02 (.76) X .08 (.35) -.15 (-1.58) -.15 (-1.68) -.02 (-.07) .09 (1.44) .07 (.23) .12 (1.87) -.03 (-.38) LnG .11 (.72) -.11 (-.72) -.11 (-1.90) -.03 (-.15) .07 (1.46) .04 (.17) .08 (1.95) -.03 (-.57) sb .14 (1.64) - - -.05 (-.62) -.01 (-.64) -.04 (-.57) -.01 (-.55) -.01 (-.43) R2 / # of obs. - / 268 .95/ 60 .95 / 60 - / 268 .99 / 60 - / 268 .99 / 60 .95 / 60 Expl. Var. Mills ratio OLS γ=−6% -18.11 -18.30 -134.61 269.25 -135.43 281.72 112.43 t-statistics are between parentheses. For the second-stage price equations, the standard errors of the parameter estimates are based on Maddala (pp. 253-56). Loglikelihood -131.75 a b Omitted when not marginally significant. Liste des publications au CIRANO * Cahiers CIRANO / CIRANO Papers (ISSN 1198-8169) 99c-1 96c-1 95c-2 95c-1 94c-3 94c-2 94c-1 Les Expos, l'OSM, les universités, les hôpitaux : Le coût d'un déficit de 400 000 emplois au Québec — Expos, Montréal Symphony Orchestra, Universities, Hospitals: The Cost of a 400,000-Job Shortfall in Québec / Marcel Boyer Peut-on créer des emplois en réglementant le temps de travail ? / Robert Lacroix Anomalies de marché et sélection des titres au Canada / Richard Guay, Jean-François L'Her et Jean-Marc Suret La réglementation incitative / Marcel Boyer L'importance relative des gouvernements : causes, conséquences et organisations alternative / Claude Montmarquette Commercial Bankruptcy and Financial Reorganization in Canada / Jocelyn Martel Faire ou faire faire : La perspective de l'économie des organisations / Michel Patry Série Scientifique / Scientific Series (ISSN 1198-8177) 99s-34 A Resource Based View of the Information Systems Sourcing Mode / Vital Roy et Benoit Aubert 99s-33 Budget Processes: Theory and Experimental Evidence / Karl-Martin Ehrhart, Roy Gardner, Jürgen von Hagen et Claudia Keser 99s-32 Tax Incentives: Issue and Evidence / Pierre Mohnen 99s-31 Decentralized or Collective Bargaining in a Strategy Experiment / Siegfried Berninghaus, Werner Güth et Claudia Keser 99s-30 Qui veut réduire ses heures de travail? Le profil des travailleurs adhérant à un programme de partage de l'emploi / Paul Lanoie, Ali Béjaoui et François Raymond 99s-29 Dealing with Major Technological Risks / Bernard Sinclair-Desgagné et Carel Vachon 99s-28 Analyse de l'impact productif des pratiques de rémunération incitative pour une entreprise de services : Application à une coopérative financière québécoise / Simon Drolet, Paul Lanoie et Bruce Shearer 99s-27 Why Firms Outsource Their Human Resources Activities: An Empirical Analysis / Michel Patry, Michel Tremblay, Paul Lanoie et Michelle Lacombe 99s-26 Stochastic Volatility: Univariate and Multivariate Extensions / Éric Jacquier, Nicholas G. Polson et Peter E. 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